Yesterday a dealer sold another 10K of the November 118- 119 call spreads for 30 and 31 ticks or close to $500.00 for each spread. As you can see prices of the underlying future are right up against the recent range and actually tested the 9/11 high of 11816.5 yesterday. The bet on this play is that prices will slip back below the 118 strike, which they are short, allowing them to pocket the premium. They sold the same call spread 10K times on Tuesday as well,so they now have collected close to $10,000,000.00 in premium. That is roughly the amount they could lose on the trade, less costs and interest on margin requirements, for if prices move higher they are protected by being long the 119 calls.
Elsewhere you can see good buying in the Nov. 117 puts, one house (see players below) bought 5K outright in that strike. Other houses were buying the 117 put strike vs selling 116's and as spreads and butterflies. Again these may be insurance against core long positions or possibly outright bets as some have been forecasting an improvement in the unemployment figures this friday.
Larger trades in Nov. options highlighted below.
Players from 9/30/09 In 10yr. treasury options all months.
287
Bot
500
X21+c
5
11814+-15
287
Bot
500
X16+/17+c
48
11813-13+
350
Bot
1000
X16+p
21
11809+-10
444
Bot
2000
Z121+c
19
11815-15+
560
Bot
2000
X16/17+p 1x2
7
11814-15
660
Bot
5000
X17p
29
^Z11812
660
Bot
500
Z120+c
31
11811-11+
684
Bot
500
X12+p
2
684
Bot
500
X19/21/22c Fly
5
11805-05+
684
Bot
1000
Z18+ Stdl
244
^Z11807
714
Bot
500
X15+/16/17p Fly
9
11812-12+
714
Bot
500
X15+/16/17p Fly
9
11810+-11
714
Bot
1000
Z17p
54
^Z11810+
830
Bot
500
X15+/17p 1x2
6
11804-05
116
Sold
2500
Z21/22c
11
11813-14
116
Sold
1000
X18/19c
33
197
Sold
500
X19/20c
18
11803-03+
560
Sold
1000
X15+/17p
19
11804+-05
660
Sold
1000
X18+ Stdl
155
11813-14
685
Sold
10000
X18/19c
30-31
11807-10+
714
Sold
500
X18/18+c
18
11815-15+
714
Sold
2000
X18p
53
^Z11806
714
Sold
2000
X18p
53
^Z11805+
Local
Trade
700
X19/20c
19
^Z11805
Local
Trade
500
X16+/17+p 2x1
17
11813-13+
Local
Trade
500
X+20+c/-20c 2[x1
5
11813-13+
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